VALUE-AT-RISK COMPUTATIONS IN STOCHASTIC VOLATILITY MODELS USING SECOND-ORDER WEAK APPROXIMATION SCHEMES

DOI10.1142/S0219024914500046zbMath1290.91182OpenAlexW2168535520MaRDI QIDQ5411988

Eva Lütkebohmert, Lydienne Matchie

Publication date: 25 April 2014

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024914500046

zbMATH Keywords

stochastic volatilitycubature methodsweak approximation schemesstructural credit risk models

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Numerical quadrature and cubature formulas (65D32) Portfolio theory (91G10) Credit risk (91G40)

Cites Work

• The Pricing of Options and Corporate Liabilities
• A new higher-order weak approximation scheme for stochastic differential equations and the Runge-Kutta method
• A new simulation scheme of diffusion processes: Application of the Kusuoka approximation to finance problems.
• Coherent Measures of Risk
• Stochastic Volatility Effects on Defaultable Bonds
• Weak Approximation of Stochastic Differential Equations and Application to Derivative Pricing
• High order discretization schemes for the CIR process: Application to affine term structure and Heston models
• Multiscale Stochastic Volatility Asymptotics
• A comparison of biased simulation schemes for stochastic volatility models
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Stock Price Distributions with Stochastic Volatility: An Analytic Approach
• The proof of Tchakaloff’s Theorem
• Expansion of the global error for numerical schemes solving stochastic differential equations

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